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Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity
Javed, Farrukh
;
Kiss, Tamás
;
Österholm, Pär
- In:
Applied economics
54
(
2022
)
58
,
pp. 6669-6686
Persistent link: https://www.econbiz.de/10013494234
Saved in:
2
On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19
Cremaschini, Alessandro
;
Punzón, Antonio
;
Martellucci, …
- In:
Applied economics
55
(
2023
)
32
,
pp. 3675-3688
Persistent link: https://www.econbiz.de/10014299197
Saved in:
3
Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors
Kim, Yunsun
;
Hwang, Sun Young
;
Kim, Jong-Min
;
Kim, Sahm
- In:
Applied economics
55
(
2023
)
3
,
pp. 255-272
Persistent link: https://www.econbiz.de/10013494421
Saved in:
4
Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min
;
Hwang, Sun Young
- In:
Applied economics
53
(
2021
)
4
,
pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
Saved in:
5
Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin
;
Pan, Xiao
;
Park, Sumin
- In:
Applied economics
53
(
2021
)
50
,
pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
Saved in:
6
The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen
- In:
Applied economics
53
(
2021
)
17
,
pp. 1991-2014
Persistent link: https://www.econbiz.de/10012500918
Saved in:
7
The role of high-frequency data in volatility forecasting : evidence from the China stock market
Liu, Min
;
Lee, Chien-chiang
;
Choo, Wei Chong
- In:
Applied economics
53
(
2021
)
22
,
pp. 2500-2526
Persistent link: https://www.econbiz.de/10012501284
Saved in:
8
Dynamic conditional score models : a review of their applications
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
52
(
2020
)
11
,
pp. 1181-1199
Persistent link: https://www.econbiz.de/10012197522
Saved in:
9
Volatility forecasting : long memory, regime switching and heteroscedasticity
Ma, Feng
;
Lu, Xinjie
;
Yang, Ke
;
Zhang, Yaojie
- In:
Applied economics
51
(
2019
)
38
,
pp. 4151-4163
Persistent link: https://www.econbiz.de/10012196974
Saved in:
10
Asymmetry and leverage in GARCH models : a News Impact Curve perspective
Caporin, Massimiliano
;
Costola, Michele
- In:
Applied economics
51
(
2019
)
31
,
pp. 3345-3364
Persistent link: https://www.econbiz.de/10012196836
Saved in:
11
A note on the estimated GARCH coefficients from the S&P1500 universe
Bampinas, Georgios
;
Ladopoulos, Konstantinos
; …
- In:
Applied economics
50
(
2018
)
34/35
,
pp. 3647-3653
Persistent link: https://www.econbiz.de/10012059386
Saved in:
12
Long range dependence in an emerging stock market's sectors : volatility modelling and VaR forecasting
Abuzayed, Bana
;
Al-Fayoumi, Nedal
;
Charfeddine, Lanouar
- In:
Applied economics
50
(
2018
)
23
,
pp. 2569-2599
Persistent link: https://www.econbiz.de/10011850296
Saved in:
13
Interaction between oil and US dollar exchange rate : nonlinear causality, time-varying influence and structural breaks in volatility
Wen, Fenghua
;
Xiao, Jihong
;
Huang, Chuangxia
;
Xia, Xiaohua
- In:
Applied economics
50
(
2018
)
3
,
pp. 319-334
Persistent link: https://www.econbiz.de/10011846847
Saved in:
14
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
- In:
Applied economics
49
(
2017
)
31/33
,
pp. 3246-3262
Persistent link: https://www.econbiz.de/10011774739
Saved in:
15
Modelling exchange rate volatility with random level shifts
Li, Ye
;
Perron, Pierre
;
Xu, Jiawen
- In:
Applied economics
49
(
2017
)
26
,
pp. 2579-2589
Persistent link: https://www.econbiz.de/10011819611
Saved in:
16
Stock prices, inflation and inflation uncertainty in the U.S. : testing the long-run relationship considering Dow Jones sector indexes
Albulescu, Claudiu Tiberiu
;
Aubin, Christian
;
Goyeau, Daniel
- In:
Applied economics
49
(
2017
)
18
,
pp. 1794-1807
Persistent link: https://www.econbiz.de/10011815423
Saved in:
17
Modelling the relationship between future energy intraday volatility and trading volume with wavelet
Ftiti, Zied
;
Jawadi, Fredj
;
Louhichi, Waël
- In:
Applied economics
49
(
2017
)
20
,
pp. 1981-1993
Persistent link: https://www.econbiz.de/10011817029
Saved in:
18
Breaks and outliers when modelling the volatility of the U.S. stock market
Chatzikonstanti, Vasiliki
- In:
Applied economics
49
(
2017
)
46
,
pp. 4704-4717
Persistent link: https://www.econbiz.de/10011844777
Saved in:
19
Dynamic conditional score models of degrees of freedom : filtering with score-driven heavy tails
Blazsek, Szabolcs
;
Monteros, Luis Antonio
- In:
Applied economics
49
(
2017
)
53
,
pp. 5426-5440
Persistent link: https://www.econbiz.de/10011845187
Saved in:
20
Monetary shocks, equity returns and volatility : a firm-level panel data analysis
Luo, H. Arthur
;
Cheng, Jen-chi
;
Vijverberg, Chu-ping C.
- In:
Applied economics
48
(
2016
)
4/6
,
pp. 261-275
Persistent link: https://www.econbiz.de/10011412709
Saved in:
21
Linear time-varying regression with a DCC-GARCH model for volatility
Kim, Jong-Min
;
Jung, Hojin
;
Qin, Li
- In:
Applied economics
48
(
2016
)
16/18
,
pp. 1573-1582
Persistent link: https://www.econbiz.de/10011456689
Saved in:
22
Rationality of inflation-output forecasts of MMS survey : international evidence
Ulu, Yasemin
- In:
Applied economics
47
(
2015
)
10/12
,
pp. 1187-1198
Persistent link: https://www.econbiz.de/10010486260
Saved in:
23
The derivation of the NPV variance of a risky capital investment project with first-order autoregressive cash flows and autoregressive conditional heteroscedastic variances
Paquin, Jean-Paul
;
Charbonneau, Alain
;
Tessier, David
- In:
Applied economics
47
(
2015
)
10/12
,
pp. 1170-1186
Persistent link: https://www.econbiz.de/10010486263
Saved in:
24
Dynamic linkages among carbon, energy and financial markets : a smooth transition approach
Koch, Nikolas
- In:
Applied economics
46
(
2014
)
7/9
,
pp. 715-729
Persistent link: https://www.econbiz.de/10010398983
Saved in:
25
Measuring asymmetry and persistence in conditional volatility in real output : evidence from three East Asian tigers using a multivariate GARCH approach
Vu Thanh Hai
;
Tsui, Albert K.
;
Zhang, Zhaoyong
- In:
Applied economics
45
(
2013
)
19/21
,
pp. 2909-2914
Persistent link: https://www.econbiz.de/10010192361
Saved in:
26
Using monthly returns to model conditional heteroscedasticity
Joseph, Nathan Lael
- In:
Applied economics
35
(
2003
)
7
,
pp. 791-801
Persistent link: https://www.econbiz.de/10001761490
Saved in:
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